You can use the Microsoft.FSharp.Collections.LazyList<> type from the F# power pack (yep, from C# without F# installed - no problem!) for this. It's in Nuget package FSPowerPack.Core.Community.

In particular, you want to call LazyListModule.ofSeq(...) which returns a LazyList<T> that implements IEnumerable<T> and is lazy and cached.

In your case, usage is just a matter of...

var evenNumbers = LazyListModule.ofSeq(Numbers.Where(i => i % 2 == 0));
var cachedEvenNumbers = LazyListModule.ofSeq(evenNumbers);

Though I personally prefer var in all such cases, note that this does mean the compile-time type will be more specific than just IEnumerable<> - not that this is likely to ever be a downside. Another advantage of the F# non-interface types is that they expose some efficient operations you can't do efficienly with plain IEnumerables, such as LazyListModule.skip.

I'm not sure whether LazyList is thread-safe, but I suspect it is.

Another alternative pointed out in the comments below (if you have F# installed) is SeqModule.Cache (namespace Microsoft.FSharp.Collections, it'll be in GACed assembly FSharp.Core.dll) which has the same effective behavior. Like other .NET enumerables, Seq.cache doesn't have a tail (or skip) operator you can efficiently chain.

Thread-safe: unlike other solutions to this question Seq.cache is thread-safe in the sense that you can have multiple enumerators running in parallel (each enumerator is not thread safe).

Performance I did a quick benchmark, and the LazyList enumerable has at least 4 times more overhead than the SeqModule.Cache variant, which has at least three times more overhead than the custom implementation answers. So, while the F# variants work, they're not quite as fast. Note that 3-12 times slower still isn't very slow compared to an enumerable that does (say) I/O or any non-trivial computation, so this probably won't matter most of the time, but it's good to keep in mind.

TL;DR If you need an efficient, thread-safe cached enumerable, just use SeqModule.Cache.

Building upon Eamon's answer above, here's another functional solution (no new types) that works also with simultaneous evaluation. This demonstrates that a general pattern (iteration with shared state) underlies this problem.

First we define a very general helper method, meant to allow us to simulate the missing feature of anonymous iterators in C#:

public static IEnumerable<T> Generate<T>(Func<Func<Tuple<T>>> generator)
{
    var tryGetNext = generator();
    while (true)
    {
        var result = tryGetNext();
        if (null == result)
        {
            yield break;
        }
        yield return result.Item1;
    }
}

Generate is like an aggregator with state. It accepts a function that returns initial state, and a generator function that would have been an anonymous with yield return in it, if it were allowed in C#. The state returned by initialize is meant to be per-enumeration, while a more global state (shared between all enumerations) can be maintained by the caller to Generate e.g. in closure variables as we'll show below.

Now we can use this for the "buffered Enumerable" problem:

public static IEnumerable<T> Cached<T>(IEnumerable<T> enumerable)
{
    var cache = new List<T>();
    var enumerator = enumerable.GetEnumerator();

    return Generate<T>(() =>
    {
        int pos = -1;
        return () => {
            pos += 1;
            if (pos < cache.Count())
            {
                return new Tuple<T>(cache[pos]);
            }
            if (enumerator.MoveNext())
            {
                cache.Add(enumerator.Current);
                return new Tuple<T>(enumerator.Current);
            }
            return null;
        };
    });
}

I hope this answer combines the brevity and clarity of sinelaw's answer and the support for multiple enumerations of Timothy's answer:

public static IEnumerable<T> Cached<T>(this IEnumerable<T> enumerable) {
    return CachedImpl(enumerable.GetEnumerator(), new List<T>());
}

static IEnumerable<T> CachedImpl<T>(IEnumerator<T> source, List<T> buffer) {
    int pos=0;
    while(true) {
        if(pos == buffer.Count) 
            if (source.MoveNext()) 
                buffer.Add(source.Current); 
            else 
                yield break;
        yield return buffer[pos++];
    }
}

Key ideas are to use the yield return syntax to make for a short enumerable implementation, but you still need a state-machine to decide whether you can get the next element from the buffer, or whether you need to check the underlying enumerator.

Limitations: This makes no attempt to be thread-safe, nor does it dispose the underlying enumerator (which, in general, is quite tricky to do as the underlying uncached enumerator must remain undisposed as long as any cached enumerabl might still be used).

As far as I know there is no built-in way to do this, which - now that you mention it - is slightly surprising (my guess is, given the frequency with which one would want to use this option, it was probably not worth the effort needed to analyse the code to make sure that the generator gives the exact same sequence every time).

You can however implement it yourself. The easy way would be on the call-site, as

var evenNumbers = Numbers.Where(i => i % 2 == 0).
var startOfList = evenNumbers.Take(10).ToList();

// use startOfList instead of evenNumbers in the loop.

More generally and accurately, you could do it in the generator: create a List<int> cache and every time you generate a new number add it to the cache before you yield return it. Then when you loop through again, first serve up all the cached numbers. E.g.

List<int> cachedEvenNumbers = new List<int>();
IEnumerable<int> EvenNumbers
{
  get
  {
    int i = -1;

    foreach(int cached in cachedEvenNumbers)
    {
      i = cached;
      yield return cached;
    }

    // Note: this while loop now starts from the last cached value
    while (true) 
    {
        Console.WriteLine("Generating {0}.", i + 1);
        yield return ++i;
    }
  }
}

I guess if you think about this long enough you could come up with a general implementation of a IEnumerable<T>.Buffered() extension method - again, the requirement is that the enumeration doesn't change between calls and the question is if it is worth it.

Here's an incomplete yet compact 'functional' implementation (no new types defined).

The bug is that it does not allow simultaneous enumeration.

Original description: The first function should have been an anonymous lambda inside the second, but C# does not allow yield in anonymous lambdas:

// put these in some extensions class

private static IEnumerable<T> EnumerateAndCache<T>(IEnumerator<T> enumerator, List<T> cache)
{
    while (enumerator.MoveNext())
    {
        var current = enumerator.Current;
        cache.Add(current);
        yield return current;
    }
}
public static IEnumerable<T> ToCachedEnumerable<T>(this IEnumerable<T> enumerable)
{
    var enumerator = enumerable.GetEnumerator();
    var cache = new List<T>();
    return cache.Concat(EnumerateAndCache(enumerator, cache));
}

Usage:

var enumerable = Numbers.ToCachedEnumerable();

Full credit to Eamon Nerbonne and sinelaw for their answers, just a couple of tweaks! First, to release the enumerator when it is completed. Secondly to protect the underlying enumerator with a lock so the enumerable can be safely used on multiple threads.

// This is just the same as @sinelaw's Generator but I didn't like the name
public static IEnumerable<T> AnonymousIterator<T>(Func<Func<Tuple<T>>> generator)
{
    var tryGetNext = generator();
    while (true)
    {
        var result = tryGetNext();
        if (null == result)
        {
            yield break;
        }
        yield return result.Item1;
    }
}

// Cached/Buffered/Replay behaviour
public static IEnumerable<T> Buffer<T>(this IEnumerable<T> self)
{
    // Rows are stored here when they've been fetched once
    var cache = new List<T>();

    // This counter is thread-safe in that it is incremented after the item has been added to the list,
    // hence it will never give a false positive. It may give a false negative, but that falls through
    // to the code which takes the lock so it's ok.
    var count = 0;

    // The enumerator is retained until it completes, then it is discarded.
    var enumerator = self.GetEnumerator();

    // This lock protects the enumerator only. The enumerable could be used on multiple threads
    // and the enumerator would then be shared among them, but enumerators are inherently not
    // thread-safe so a) we must protect that with a lock and b) we don't need to try and be
    // thread-safe in our own enumerator
    var lockObject = new object();

    return AnonymousIterator<T>(() =>
    {
        int pos = -1;
        return () =>
        {
            pos += 1;
            if (pos < count)
            {
                return new Tuple<T>(cache[pos]);
            }
            // Only take the lock when we need to
            lock (lockObject)
            {
                // The counter could have been updated between the check above and this one,
                // so now we have the lock we must check again
                if (pos < count)
                {
                    return new Tuple<T>(cache[pos]);
                }

                // Enumerator is set to null when it has completed
                if (enumerator != null)
                {
                    if (enumerator.MoveNext())
                    {
                        cache.Add(enumerator.Current);
                        count += 1;
                        return new Tuple<T>(enumerator.Current);
                    }
                    else
                    {
                        enumerator = null;
                    }
                }
            }
        }
        return null;
    };
});

}

I use the following extension method.

This way, the input is read at maximum speed, and the consumer processes at maximum speed.

public static IEnumerable<T> Buffer<T>(this IEnumerable<T> input)
{
    var blockingCollection = new BlockingCollection<T>();

    //read from the input
    Task.Factory.StartNew(() =>
    {
        foreach (var item in input)
        {
            blockingCollection.Add(item);
        }

        blockingCollection.CompleteAdding();
    });

    foreach (var item in blockingCollection.GetConsumingEnumerable())
    {
        yield return item;
    }
}

Example Usage

This example has a fast producer (find files), and a slow consumer (upload files).

long uploaded = 0;
long total = 0;

Directory
    .EnumerateFiles(inputFolder, "*.jpg", SearchOption.AllDirectories)
    .Select(filename =>
    {
        total++;
        return filename;
    })
    .Buffer()
    .ForEach(filename =>
    {
        //pretend to do something slow, like upload the file.
        Thread.Sleep(1000);
        uploaded++;

        Console.WriteLine($"Uploaded {uploaded:N0}/{total:N0}");
    });